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Forecasting with DSGE Models

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This RePEc Biblio topic is edited by Marco Del Negro (pde35). It was first published on 2018-05-04 13:16:31 and last updated on 2018-05-04 13:35:41.

Introduction by the editor

This bibliography includes some (but not all!) of the seminal contributions in the literature on forecasting with DSGE models, starting with the seminal work of Smets and Wouters. Caveat: the bibliography is highly subjective, and constrained by the fact that I can have at most 20 entries. I may have left out what you may think are important contributions. If so, let me know!

Most relevant JEL codes

• C32 - Mathematical and Quantitative Methods -- Multiple or Simultaneous Equation Models; Multiple Variables --- Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• C52 - Mathematical and Quantitative Methods -- Econometric Modeling --- Model Evaluation, Validation, and Selection
• E47 - Macroeconomics and Monetary Economics -- Money and Interest Rates --- Forecasting and Simulation: Models and Applications

Most relevant NEP reports

NEP reports are email or RSS notifications about new research in selected fields. Subscriptions are free.

• NEP-ECM Econometrics
• NEP-MAC Macroeconomics

Most relevant research

1. Frank Smets & Rafael Wouters, 2007, "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, volume 97, issue 3, pages 586-606, June, DOI: 10.1257/aer.97.3.586.
   • Smets, Frank & Wouters, Rafael, 2007, "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 6112, Feb.
   • Smets, Frank & Wouters, Raf, 2007, "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series, European Central Bank, number 722, Feb.
   • Frank Smets & Raf Wouters, 2007, "Shocks and Frictions in US Business Cycles : a Bayesian DSGE Approach," Working Paper Research, National Bank of Belgium, number 109, Feb.
2. Frank Smets & Raf Wouters, 2003, "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, volume 1, issue 5, pages 1123-1175, September.
   • Frank Smets & Raf Wouters, 2002, "An estimated dynamic stochastic general equilibrium model of the euro area," Working Paper Research, National Bank of Belgium, number 35, Oct.
3. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2007, "On the Fit of New Keynesian Models," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 123-143, April.
4. Rochelle M. Edge & Refet S. Gurkaynak, 2010, "How Useful Are Estimated DSGE Model Forecasts for Central Bankers?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 41, issue 2 (Fall), pages 209-259.
   • Gürkaynak, Refet & Edge, Rochelle, 2010, "How Useful Are Estimated DSGE Model Forecasts for Central Bankers?," CEPR Discussion Papers, Centre for Economic Policy Research, number 8158, Dec.
5. Negro, Marco Del & Schorfheide, Frank, 2013, "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-53683-9.00002-5.
   • Marco Del Negro & Frank Schorfheide, 2012, "DSGE model-based forecasting," Staff Reports, Federal Reserve Bank of New York, number 554.
6. Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2016, "Dynamic prediction pools: An investigation of financial frictions and forecasting performance," Journal of Econometrics, Elsevier, volume 192, issue 2, pages 391-405, DOI: 10.1016/j.jeconom.2016.02.006.
   • Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014, "Dynamic prediction pools: an investigation of financial frictions and forecasting performance," Staff Reports, Federal Reserve Bank of New York, number 695, Oct.
   • Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014, "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 20575, Oct.
   • Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014, "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 14-034, Oct.
7. Malin Adolfson & Jesper Linde & Mattias Villani, 2007, "Forecasting Performance of an Open Economy DSGE Model," Econometric Reviews, Taylor & Francis Journals, volume 26, issue 2-4, pages 289-328, DOI: 10.1080/07474930701220543.
8. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010, "Forecasting with DSGE models," Working Paper Series, European Central Bank, number 1185, May.
9. Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011, "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 512-528, April.
   • Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011, "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 512-528, DOI: 10.1016/j.ijforecast.2010.01.008.
10. Rubaszek, Michal & Skrzypczynski, Pawel, 2008, "On the forecasting performance of a small-scale DSGE model," International Journal of Forecasting, Elsevier, volume 24, issue 3, pages 498-512.
11. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018, "DSGE forecasts of the lost recovery," Staff Reports, Federal Reserve Bank of New York, number 844, Mar.
    • Cai, Michael & Del Negro, Marco & Giannoni, Marc P. & Gupta, Abhi & Li, Pearl & Moszkowski, Erica, 2019, "DSGE forecasts of the lost recovery," International Journal of Forecasting, Elsevier, volume 35, issue 4, pages 1770-1789, DOI: 10.1016/j.ijforecast.2018.12.001.

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